
Welcome to my website
Hello!
I am a professor of finance at HEC, the business school of the University of Lausanne. My domain of research could be defined as financial econometrics or computational finance.
I like models that work in practice even if their implementation is tedious as opposed to mathematical beauties that have closed-form solutions but that do not work as markets would predict.
In 2017 I stated to teach myself Machine Learning. Since then I have written papers on text-analysis dealing with sustainability or risk in banks as well as applications of Neural Network methods to time series analysis and multivariate forecasting such as mortality tables or term structures.
This research is particularly relevant for the management of pension funds. In some other research I consider systemic risk.
On this webpage you will find information on my lectures as well as on my research. You may use the buttons on the top to reach the specialized pages.
My email: michael.rockinger@unil.ch